01145nam0 22002533i 450 SUN011702520180711013633.33488-900081-4-80.0020180711d2003 |0itac50 baitaIT|||| |||||*Reverse engineering techniques and applicationsatti del 4. Seminario italo-españoljune 3rd 2003, Cassino[a cura di Massimo Martorelli][Cassino]Università degli studi, Facoltà di ingegneriastampa 2003XI, 273 p.ill.24 cm.CassinoSUNL001606Martorelli, MassimoSUNV028426Università degli studi di CassinoSUNV009743650ITSOL20181109RICASUN0117025BIBLIOTECA DEL DIPARTIMENTO DI ARCHITETTURA E DISEGNO INDUSTRIALE01 PREST M47 01 52879 BIBLIOTECA DEL DIPARTIMENTO DI ARCHITETTURA E DISEGNO INDUSTRIALEIT-CE010752879PREST M47paReverse engineering techniques and applications716369UNICAMPANIA03001nam 2200637 450 991046362640332120181115033213.01-4623-6790-91-4518-7079-51-4519-8829-X1-282-84172-69786612841729(CKB)3170000000055117(EBL)1605853(SSID)ssj0000943994(PQKBManifestationID)11503135(PQKBTitleCode)TC0000943994(PQKBWorkID)10978557(PQKB)11605604(OCoLC)762469891(MiAaPQ)EBC1605853(EXLCZ)99317000000005511720140225h20082008 uy 0engurcnu||||||||txtccrCommodities and the market price of risk /Shaun K. Roache[Washington, District of Columbia] :International Monetary Fund,2008.©20081 online resource (25 p.)IMF Working PapersIMF working paper ;WP/08/221Description based upon print version of record.1-4519-1532-2 Includes bibliographical references.Contents; I. Introduction; II. Merton's ICAPM Risk-pricing Model; A. Deriving the risk-pricing equation; B. Identifying state variables; III. Brief Review of the Literature; IV. Data; V. Estimating the Quantities and Prices of Risk; A. The macro risk exposure of commodities; B. Market prices for macro risk; VI. Results; A. Real interest rate risk is priced; B. The time-varying cost of interest rate insurance; C. Evidence for a commodity-specific risk premium; D. Model fit; VII. Conclusion; References; AppendixCommodities are back following a stellar run of price performance, attracting financial investor attention. What are the fundamental reasons to hold commodities? One reason is the exposure offered to underlying risk factors. In this paper, I assess the macro risk exposure offered by commodity futures and test whether these risks are priced, using Merton's (1973) intertemporal capital asset pricing model for a sample of commodity prices covering the period January 1973 - February 2008. I find that commodity futures offer a hedge against lower interest rates and that investors are willing toIMF Working PapersRiskEconometric modelsCommodity futuresEconometric modelsCapital assets pricing modelElectronic books.RiskEconometric models.Commodity futuresEconometric models.Capital assets pricing model.330.015195Roache Shaun K869965MiAaPQMiAaPQMiAaPQBOOK9910463626403321Commodities and the market price of risk1942265UNINA